S&P Vol

Any theories as to why implied vol on the SPUs is so damn low lately? I assume I'm missing something, but with the threat of terror ever present, looming war with Iraq, and war in Israel, if I were a speculator I'd be gobbling up those options. And to top it off, the SPUs are moving like 20 handles every other day. What's up?

I agree with what you say about the fear of terorism. Also, earnings are starting to come in and a lot of traders are on the sidelines waiting to see how they pan out. We're starting a new quarter and the S&Ps seem to be churning. This is good as far as I'm concerned for day trading.


Hmmm, I'm not sure what the SPUs are. Are they S&P index options? I've been so wrapped up in the futures market I'm having tunnel vision. Futures options are the one derivative I haven't traded yet. I suppose their next. ;-) ;-(

"SPUs" is shorthand for S&P fUtures (don't ask me why.) I was speaking of S&P cash options, but with some small adjustments, they are the same contract as S&P futures options, though possibly a little less dangerous. At any rate, there is an arbitrage relationship between the two markets.

look at the out of the money puts (the skew of the distibution implied by the market). are they priced much higher than previously with regard to the at-the-money straddle? if so, then the market may simply be saying that not much is going to happen, but if something does happen, it may be really bad. if the OTM puts are priced similarly as last year this time, that would surpise me.

Oh, you mean the spoos! I've heard them called the spoofs as well. SPUs just threw me.